This paper examines the momentum effect for twenty cryptocurrencies compared to the US stock market. For this purpose, we implement a dynamic modeling approach to define and test momentum periods that follow a formation period for interday and various intraday price levels. We find evidence that large proportions of the asset classes’ formation periods are followed by momentum periods, strongly supporting the momentum effect. In particular cryptocurrencies have significantly larger and longer momentum periods in all frequencies which we attribute to the lower derivability of their intrinsic value leading to a higher degree of noise traders in the market. A momentum trading strategy based on the identical approach outperforms a buy-hold strategy for both asset classes, while only cryptocurrencies have higher risk-adjusted returns and lower downside risks than a passive investment. We also find critical price levels during structural elements of the momentum period where the volatility shortly but intensively increases and consequently initiates a price impulse in the direction of the momentum.

中文翻译：

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加密货币的动态时间序列动量


本文研究了二十种加密货币与美国股市的动量效应。为此，我们采用动态建模方法来定义和测试日间和各种日内价格水平形成期之后的动量期。我们发现证据表明，大部分资产类别的形成期之后都是动量期，这有力地支持了动量效应。特别是加密货币在所有频率上都具有明显更大和更长的动量周期，我们将其归因于其内在价值的可衍生性较低，导致市场上噪音交易者的程度更高。基于相同方法的动量交易策略优于两种资产类别的买入策略，而只有加密货币比被动投资具有更高的风险调整回报和更低的下行风险。我们还发现，在动量周期的结构性要素中，关键价格水平的波动性短暂但剧烈地增加，从而引发了动量方向的价格冲动。